Analysis of an interacting particle method for rare event estimation

DOI10.1007/s11134-013-9344-zzbMath1278.60056MaRDI QIDQ351492

Paul Dupuis, Yi Cai

Publication date: 5 July 2013

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-013-9344-z

zbMATH Keywords

large deviation; empirical measure; interacting particle system; Monte Carlo approximation; rare event

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60J85: Applications of branching processes

60K35: Interacting random processes; statistical mechanics type models; percolation theory

60F10: Large deviations

65C35: Stochastic particle methods

Related Items

Large deviations for weighted empirical measures arising in importance sampling

Uses Software

• RESTART

Cites Work

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